Why were Chess experts surprised by the AlphaZero's victory against Stockfish?
Good question. 

First and foremost is that in Go deepmind had no superhuman opponents to challenge. Go engines were not anywhere near the highest level of the top human players. In chess, however, the engines are 500 ELO points stronger than the top human players. This is a massive difference. The amount of work that has gone into contemporary chess engines is staggering. We are talking about millions of hours in programming, hundreds of thousands of iterations. It is a massive body of knowledge and work. To overcome and surpass all of that in 4 hours is staggering.

Secondly it is not so much the result itself which is surprising to chess masters but instead its how AlphaZero plays chess. It's quite ironic that a system which had no human knowledge or expertise plays the most like we do. Engines are notorious for playing ugly looking moves, those lacking harmony etc. Its hard to explain to a non-chess player but there is such a thing as an "Artificial move" like the contemporary engines come up with often. AlphaZero does not play like this at all. It has a very human-like style where it dominates the opponent's pieces with deep strategic play and stunning position sacrifices. AlphaZero plays the way we aspire to, combining deep positional understanding with the precision of an engines calculation.

Edit
Oh and I forgot to mention something about the result itself. If you are not familiar with computer chess it may not seem staggering but it is. 

These days the margins of victory which separate the top contemporary engines are razor thin. In a 100 game match you could expect to see a result like 85 games drawn, 9 victories, and 6 losses to determine the better engine.

AlphaZero 28 wins and 72 draws with zero losses was otherworldly crushing and was completely unthinkable right up to the moment it happened.